Suchergebnisse - Engle, Robert F. 1942-

Empirical asset pricing: the cross-section of stock returns

von Bali, Turan G., Engle, Robert F. 1942-, Murray, Scott 1979-

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Asymmetric dynamics in the correlations of global equity and bond returns

von Cappiello, Lorenzo, Engle, Robert F. 1942-, Sheppard, Kevin

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Option hedging using empirical pricing kernels

von Rosenberg, Joshua V., Engle, Robert F. 1942-

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The econometrics of ultra high frequency data

von Engle, Robert F. 1942-

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Hedging options in a garch environment: testing the term structure of stochastic volatility models

von Engle, Robert F. 1942-, Rosenberg, Joshua

Estimating sectoral cycles using cointegration and common features

von Engle, Robert F. 1942-, Issler, João V.

Index-option pricing with stochastic volatility and the value of accurate variance forecasts

von Engle, Robert F. 1942-, Kane, Alex 1942-, Noh, Jaesun

A multiple indicators model for volatility using intra-daily data

von Engle, Robert F. 1942-, Gallo, Giampiero M.

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Measuring, forecasting and explaining time varying liquidity in the stock market

von Engle, Robert F. 1942-, Lange, Joe

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GARCH gamma

von Engle, Robert F. 1942-, Rosenberg, Joshua V.

A test of efficiency for the S&P 500 index option market using variance forecasts

von Noh, Jaesun, Engle, Robert F. 1942-, Kane, Alex 1942-

Measuring risk aversion from excess returns on a stock index

von Chou, Ray, Engle, Robert F. 1942-, Kane, Alex 1942-

Measuring and testing the impact of news on volatility

von Engle, Robert F. 1942-, Ng, Victor K.

Do bulls and bears move across borders?: International transmission of stock returns and volatility as the world turns

von Lin, Wen-Ling, Engle, Robert F. 1942-, Itō, Takatoshi 1950-

Value at risk models in finance

von Manganelli, Simone, Engle, Robert F. 1942-

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Theoretical and empirical properties of dynamic conditional correlation multivariate garch

von Engle, Robert F. 1942-

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Forecasting transaction rates: the autoregressive conditional duration model

von Engle, Robert F. 1942-, Russell, Jeffrey R.

Time-varying volatility and the dynamic behavior of the term structure

von Engle, Robert F. 1942-, Ng, Victor K.

Where does the Meteor shower come from?: the role of stochastic policy coordination

von Itō, Takatoshi 1950-, Engle, Robert F. 1942-, Lin, Wen-Ling

Anticipating correlations: a new paradigm for risk management

von Engle, Robert F. 1942-

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